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Long-term returns in stochastic
interest rate models
Vladimir Zubchenko Department of Probability Theory and Mathematical Statistics,
Kyiv National Taras Shevchenko University, Kyiv, Ukraine
Abstract:
We consider the behavior of integral functional of the solution of
stochastic differential equation with coefficients contained small parameter. The dependence on the order of small parameter in every
term of equation with Wiener process and Poisson measure term is
studied. We observe the convergence of the long-term return, using
an extension of the Cox-Ingersoll-Ross stochastic model of the short
interest rate. Obtained results are applied for studying of two-factor
stochastic interest rate model.
Keywords:
Stochastic differential equation, integral functional, long-term return, limit behavior, small parameter.
Citation:
Vladimir Zubchenko, “Long-term returns in stochastic
interest rate models”, Theory Stoch. Process., 13(29):4 (2007), 247–261
Linking options:
https://www.mathnet.ru/eng/thsp250 https://www.mathnet.ru/eng/thsp/v13/i4/p247
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Abstract page: | 59 | Full-text PDF : | 35 | References: | 12 |
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